com.opengamma.strata.product.bond.FixedCouponBondOption Maven / Gradle / Ivy
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/*
* Copyright (C) 2022 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.bond;
import java.io.Serializable;
import java.time.LocalTime;
import java.time.ZoneId;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableValidator;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.AdjustableDate;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.Product;
import com.opengamma.strata.product.common.LongShort;
/**
* An option on a {@link FixedCouponBond}.
*
* The option strike is expressed as "Clean price". The "clean" price excludes any accrued interest. The clean price
* is in the currency of the underlying bond.
*
* The call/put is provided by the quantity's sign. If positive, it indicates the right to buy the bond (call),
* if negative it indicates the right to sell the bond (put).
*/
@BeanDefinition
public final class FixedCouponBondOption
implements Product, Resolvable, ImmutableBean, Serializable {
/**
* Whether the option is long or short.
*
* Long indicates that the owner has the right to exercise the option at expiry.
*/
@PropertyDefinition(validate = "notNull")
private final LongShort longShort;
/**
* The bond underlying the option.
*/
@PropertyDefinition(validate = "notNull")
private final FixedCouponBond underlying;
/**
* The expiry date of the option.
*
* This is the last date that the option can be exercised.
*
* This date is typically set to be a valid business day.
* However, the {@code businessDayAdjustment} property may be set to provide a rule for adjustment.
*/
@PropertyDefinition(validate = "notNull")
private final AdjustableDate expiryDate;
/**
* The expiry time of the option.
*
* The expiry time is related to the expiry date and time-zone.
*/
@PropertyDefinition(validate = "notNull")
private final LocalTime expiryTime;
/**
* The time-zone of the expiry time.
*
* The expiry time-zone is related to the expiry date and time.
*/
@PropertyDefinition(validate = "notNull")
private final ZoneId expiryZone;
/**
* The quantity that was traded.
*
* This will be positive if buying (call) and negative if selling (put).
*/
@PropertyDefinition
private final double quantity;
/**
* The clean price at which the option can be exercised, in decimal form.
*
* The "clean" price excludes any accrued interest.
*
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
*/
@PropertyDefinition(validate = "ArgChecker.notNegative")
private final double cleanStrikePrice;
/**
* The settlement date when the option is exercised.
*
* This date is typically set to be a valid business day.
* However, the {@code businessDayAdjustment} property may be set to provide a rule for adjustment.
*/
@PropertyDefinition(validate = "notNull")
private final AdjustableDate settlementDate;
/**
* The currency of the underlying bond.
* @return the currency
*/
public Currency getCurrency() {
return underlying.getCurrency();
}
@ImmutableValidator
private void validate() {
ArgChecker.inOrderOrEqual(expiryDate.getUnadjusted(), settlementDate.getUnadjusted(),
"expiry date", "settlement date");
}
@Override
public ResolvedFixedCouponBondOption resolve(ReferenceData refData) {
return ResolvedFixedCouponBondOption.builder()
.longShort(longShort)
.underlying(underlying.resolve(refData))
.expiry(expiryDate.adjusted(refData).atTime(expiryTime).atZone(expiryZone))
.quantity(quantity)
.settlement(ResolvedFixedCouponBondSettlement.of(settlementDate.adjusted(refData), cleanStrikePrice))
.build();
}
@Override
public ImmutableSet allCurrencies() {
return ImmutableSet.of(getCurrency());
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code FixedCouponBondOption}.
* @return the meta-bean, not null
*/
public static FixedCouponBondOption.Meta meta() {
return FixedCouponBondOption.Meta.INSTANCE;
}
static {
MetaBean.register(FixedCouponBondOption.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static FixedCouponBondOption.Builder builder() {
return new FixedCouponBondOption.Builder();
}
private FixedCouponBondOption(
LongShort longShort,
FixedCouponBond underlying,
AdjustableDate expiryDate,
LocalTime expiryTime,
ZoneId expiryZone,
double quantity,
double cleanStrikePrice,
AdjustableDate settlementDate) {
JodaBeanUtils.notNull(longShort, "longShort");
JodaBeanUtils.notNull(underlying, "underlying");
JodaBeanUtils.notNull(expiryDate, "expiryDate");
JodaBeanUtils.notNull(expiryTime, "expiryTime");
JodaBeanUtils.notNull(expiryZone, "expiryZone");
ArgChecker.notNegative(cleanStrikePrice, "cleanStrikePrice");
JodaBeanUtils.notNull(settlementDate, "settlementDate");
this.longShort = longShort;
this.underlying = underlying;
this.expiryDate = expiryDate;
this.expiryTime = expiryTime;
this.expiryZone = expiryZone;
this.quantity = quantity;
this.cleanStrikePrice = cleanStrikePrice;
this.settlementDate = settlementDate;
validate();
}
@Override
public FixedCouponBondOption.Meta metaBean() {
return FixedCouponBondOption.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets whether the option is long or short.
*
* Long indicates that the owner has the right to exercise the option at expiry.
* @return the value of the property, not null
*/
public LongShort getLongShort() {
return longShort;
}
//-----------------------------------------------------------------------
/**
* Gets the bond underlying the option.
* @return the value of the property, not null
*/
public FixedCouponBond getUnderlying() {
return underlying;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry date of the option.
*
* This is the last date that the option can be exercised.
*
* This date is typically set to be a valid business day.
* However, the {@code businessDayAdjustment} property may be set to provide a rule for adjustment.
* @return the value of the property, not null
*/
public AdjustableDate getExpiryDate() {
return expiryDate;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry time of the option.
*
* The expiry time is related to the expiry date and time-zone.
* @return the value of the property, not null
*/
public LocalTime getExpiryTime() {
return expiryTime;
}
//-----------------------------------------------------------------------
/**
* Gets the time-zone of the expiry time.
*
* The expiry time-zone is related to the expiry date and time.
* @return the value of the property, not null
*/
public ZoneId getExpiryZone() {
return expiryZone;
}
//-----------------------------------------------------------------------
/**
* Gets the quantity that was traded.
*
* This will be positive if buying (call) and negative if selling (put).
* @return the value of the property
*/
public double getQuantity() {
return quantity;
}
//-----------------------------------------------------------------------
/**
* Gets the clean price at which the option can be exercised, in decimal form.
*
* The "clean" price excludes any accrued interest.
*
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
* @return the value of the property
*/
public double getCleanStrikePrice() {
return cleanStrikePrice;
}
//-----------------------------------------------------------------------
/**
* Gets the settlement date when the option is exercised.
*
* This date is typically set to be a valid business day.
* However, the {@code businessDayAdjustment} property may be set to provide a rule for adjustment.
* @return the value of the property, not null
*/
public AdjustableDate getSettlementDate() {
return settlementDate;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
FixedCouponBondOption other = (FixedCouponBondOption) obj;
return JodaBeanUtils.equal(longShort, other.longShort) &&
JodaBeanUtils.equal(underlying, other.underlying) &&
JodaBeanUtils.equal(expiryDate, other.expiryDate) &&
JodaBeanUtils.equal(expiryTime, other.expiryTime) &&
JodaBeanUtils.equal(expiryZone, other.expiryZone) &&
JodaBeanUtils.equal(quantity, other.quantity) &&
JodaBeanUtils.equal(cleanStrikePrice, other.cleanStrikePrice) &&
JodaBeanUtils.equal(settlementDate, other.settlementDate);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(longShort);
hash = hash * 31 + JodaBeanUtils.hashCode(underlying);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryDate);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryTime);
hash = hash * 31 + JodaBeanUtils.hashCode(expiryZone);
hash = hash * 31 + JodaBeanUtils.hashCode(quantity);
hash = hash * 31 + JodaBeanUtils.hashCode(cleanStrikePrice);
hash = hash * 31 + JodaBeanUtils.hashCode(settlementDate);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
buf.append("FixedCouponBondOption{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying)).append(',').append(' ');
buf.append("expiryDate").append('=').append(JodaBeanUtils.toString(expiryDate)).append(',').append(' ');
buf.append("expiryTime").append('=').append(JodaBeanUtils.toString(expiryTime)).append(',').append(' ');
buf.append("expiryZone").append('=').append(JodaBeanUtils.toString(expiryZone)).append(',').append(' ');
buf.append("quantity").append('=').append(JodaBeanUtils.toString(quantity)).append(',').append(' ');
buf.append("cleanStrikePrice").append('=').append(JodaBeanUtils.toString(cleanStrikePrice)).append(',').append(' ');
buf.append("settlementDate").append('=').append(JodaBeanUtils.toString(settlementDate));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code FixedCouponBondOption}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code longShort} property.
*/
private final MetaProperty longShort = DirectMetaProperty.ofImmutable(
this, "longShort", FixedCouponBondOption.class, LongShort.class);
/**
* The meta-property for the {@code underlying} property.
*/
private final MetaProperty underlying = DirectMetaProperty.ofImmutable(
this, "underlying", FixedCouponBondOption.class, FixedCouponBond.class);
/**
* The meta-property for the {@code expiryDate} property.
*/
private final MetaProperty expiryDate = DirectMetaProperty.ofImmutable(
this, "expiryDate", FixedCouponBondOption.class, AdjustableDate.class);
/**
* The meta-property for the {@code expiryTime} property.
*/
private final MetaProperty expiryTime = DirectMetaProperty.ofImmutable(
this, "expiryTime", FixedCouponBondOption.class, LocalTime.class);
/**
* The meta-property for the {@code expiryZone} property.
*/
private final MetaProperty expiryZone = DirectMetaProperty.ofImmutable(
this, "expiryZone", FixedCouponBondOption.class, ZoneId.class);
/**
* The meta-property for the {@code quantity} property.
*/
private final MetaProperty quantity = DirectMetaProperty.ofImmutable(
this, "quantity", FixedCouponBondOption.class, Double.TYPE);
/**
* The meta-property for the {@code cleanStrikePrice} property.
*/
private final MetaProperty cleanStrikePrice = DirectMetaProperty.ofImmutable(
this, "cleanStrikePrice", FixedCouponBondOption.class, Double.TYPE);
/**
* The meta-property for the {@code settlementDate} property.
*/
private final MetaProperty settlementDate = DirectMetaProperty.ofImmutable(
this, "settlementDate", FixedCouponBondOption.class, AdjustableDate.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"longShort",
"underlying",
"expiryDate",
"expiryTime",
"expiryZone",
"quantity",
"cleanStrikePrice",
"settlementDate");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -1770633379: // underlying
return underlying;
case -816738431: // expiryDate
return expiryDate;
case -816254304: // expiryTime
return expiryTime;
case -816069761: // expiryZone
return expiryZone;
case -1285004149: // quantity
return quantity;
case 1424472750: // cleanStrikePrice
return cleanStrikePrice;
case -295948169: // settlementDate
return settlementDate;
}
return super.metaPropertyGet(propertyName);
}
@Override
public FixedCouponBondOption.Builder builder() {
return new FixedCouponBondOption.Builder();
}
@Override
public Class beanType() {
return FixedCouponBondOption.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code longShort} property.
* @return the meta-property, not null
*/
public MetaProperty longShort() {
return longShort;
}
/**
* The meta-property for the {@code underlying} property.
* @return the meta-property, not null
*/
public MetaProperty underlying() {
return underlying;
}
/**
* The meta-property for the {@code expiryDate} property.
* @return the meta-property, not null
*/
public MetaProperty expiryDate() {
return expiryDate;
}
/**
* The meta-property for the {@code expiryTime} property.
* @return the meta-property, not null
*/
public MetaProperty expiryTime() {
return expiryTime;
}
/**
* The meta-property for the {@code expiryZone} property.
* @return the meta-property, not null
*/
public MetaProperty expiryZone() {
return expiryZone;
}
/**
* The meta-property for the {@code quantity} property.
* @return the meta-property, not null
*/
public MetaProperty quantity() {
return quantity;
}
/**
* The meta-property for the {@code cleanStrikePrice} property.
* @return the meta-property, not null
*/
public MetaProperty cleanStrikePrice() {
return cleanStrikePrice;
}
/**
* The meta-property for the {@code settlementDate} property.
* @return the meta-property, not null
*/
public MetaProperty settlementDate() {
return settlementDate;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return ((FixedCouponBondOption) bean).getLongShort();
case -1770633379: // underlying
return ((FixedCouponBondOption) bean).getUnderlying();
case -816738431: // expiryDate
return ((FixedCouponBondOption) bean).getExpiryDate();
case -816254304: // expiryTime
return ((FixedCouponBondOption) bean).getExpiryTime();
case -816069761: // expiryZone
return ((FixedCouponBondOption) bean).getExpiryZone();
case -1285004149: // quantity
return ((FixedCouponBondOption) bean).getQuantity();
case 1424472750: // cleanStrikePrice
return ((FixedCouponBondOption) bean).getCleanStrikePrice();
case -295948169: // settlementDate
return ((FixedCouponBondOption) bean).getSettlementDate();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code FixedCouponBondOption}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private LongShort longShort;
private FixedCouponBond underlying;
private AdjustableDate expiryDate;
private LocalTime expiryTime;
private ZoneId expiryZone;
private double quantity;
private double cleanStrikePrice;
private AdjustableDate settlementDate;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(FixedCouponBondOption beanToCopy) {
this.longShort = beanToCopy.getLongShort();
this.underlying = beanToCopy.getUnderlying();
this.expiryDate = beanToCopy.getExpiryDate();
this.expiryTime = beanToCopy.getExpiryTime();
this.expiryZone = beanToCopy.getExpiryZone();
this.quantity = beanToCopy.getQuantity();
this.cleanStrikePrice = beanToCopy.getCleanStrikePrice();
this.settlementDate = beanToCopy.getSettlementDate();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
return longShort;
case -1770633379: // underlying
return underlying;
case -816738431: // expiryDate
return expiryDate;
case -816254304: // expiryTime
return expiryTime;
case -816069761: // expiryZone
return expiryZone;
case -1285004149: // quantity
return quantity;
case 1424472750: // cleanStrikePrice
return cleanStrikePrice;
case -295948169: // settlementDate
return settlementDate;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 116685664: // longShort
this.longShort = (LongShort) newValue;
break;
case -1770633379: // underlying
this.underlying = (FixedCouponBond) newValue;
break;
case -816738431: // expiryDate
this.expiryDate = (AdjustableDate) newValue;
break;
case -816254304: // expiryTime
this.expiryTime = (LocalTime) newValue;
break;
case -816069761: // expiryZone
this.expiryZone = (ZoneId) newValue;
break;
case -1285004149: // quantity
this.quantity = (Double) newValue;
break;
case 1424472750: // cleanStrikePrice
this.cleanStrikePrice = (Double) newValue;
break;
case -295948169: // settlementDate
this.settlementDate = (AdjustableDate) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public FixedCouponBondOption build() {
return new FixedCouponBondOption(
longShort,
underlying,
expiryDate,
expiryTime,
expiryZone,
quantity,
cleanStrikePrice,
settlementDate);
}
//-----------------------------------------------------------------------
/**
* Sets whether the option is long or short.
*
* Long indicates that the owner has the right to exercise the option at expiry.
* @param longShort the new value, not null
* @return this, for chaining, not null
*/
public Builder longShort(LongShort longShort) {
JodaBeanUtils.notNull(longShort, "longShort");
this.longShort = longShort;
return this;
}
/**
* Sets the bond underlying the option.
* @param underlying the new value, not null
* @return this, for chaining, not null
*/
public Builder underlying(FixedCouponBond underlying) {
JodaBeanUtils.notNull(underlying, "underlying");
this.underlying = underlying;
return this;
}
/**
* Sets the expiry date of the option.
*
* This is the last date that the option can be exercised.
*
* This date is typically set to be a valid business day.
* However, the {@code businessDayAdjustment} property may be set to provide a rule for adjustment.
* @param expiryDate the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryDate(AdjustableDate expiryDate) {
JodaBeanUtils.notNull(expiryDate, "expiryDate");
this.expiryDate = expiryDate;
return this;
}
/**
* Sets the expiry time of the option.
*
* The expiry time is related to the expiry date and time-zone.
* @param expiryTime the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryTime(LocalTime expiryTime) {
JodaBeanUtils.notNull(expiryTime, "expiryTime");
this.expiryTime = expiryTime;
return this;
}
/**
* Sets the time-zone of the expiry time.
*
* The expiry time-zone is related to the expiry date and time.
* @param expiryZone the new value, not null
* @return this, for chaining, not null
*/
public Builder expiryZone(ZoneId expiryZone) {
JodaBeanUtils.notNull(expiryZone, "expiryZone");
this.expiryZone = expiryZone;
return this;
}
/**
* Sets the quantity that was traded.
*
* This will be positive if buying (call) and negative if selling (put).
* @param quantity the new value
* @return this, for chaining, not null
*/
public Builder quantity(double quantity) {
this.quantity = quantity;
return this;
}
/**
* Sets the clean price at which the option can be exercised, in decimal form.
*
* The "clean" price excludes any accrued interest.
*
* Strata uses decimal prices for bonds in the trade model, pricers and market data.
* For example, a price of 99.32% is represented in Strata by 0.9932.
* @param cleanStrikePrice the new value
* @return this, for chaining, not null
*/
public Builder cleanStrikePrice(double cleanStrikePrice) {
ArgChecker.notNegative(cleanStrikePrice, "cleanStrikePrice");
this.cleanStrikePrice = cleanStrikePrice;
return this;
}
/**
* Sets the settlement date when the option is exercised.
*
* This date is typically set to be a valid business day.
* However, the {@code businessDayAdjustment} property may be set to provide a rule for adjustment.
* @param settlementDate the new value, not null
* @return this, for chaining, not null
*/
public Builder settlementDate(AdjustableDate settlementDate) {
JodaBeanUtils.notNull(settlementDate, "settlementDate");
this.settlementDate = settlementDate;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(288);
buf.append("FixedCouponBondOption.Builder{");
buf.append("longShort").append('=').append(JodaBeanUtils.toString(longShort)).append(',').append(' ');
buf.append("underlying").append('=').append(JodaBeanUtils.toString(underlying)).append(',').append(' ');
buf.append("expiryDate").append('=').append(JodaBeanUtils.toString(expiryDate)).append(',').append(' ');
buf.append("expiryTime").append('=').append(JodaBeanUtils.toString(expiryTime)).append(',').append(' ');
buf.append("expiryZone").append('=').append(JodaBeanUtils.toString(expiryZone)).append(',').append(' ');
buf.append("quantity").append('=').append(JodaBeanUtils.toString(quantity)).append(',').append(' ');
buf.append("cleanStrikePrice").append('=').append(JodaBeanUtils.toString(cleanStrikePrice)).append(',').append(' ');
buf.append("settlementDate").append('=').append(JodaBeanUtils.toString(settlementDate));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}